Can't use dyntopo in sculpt mode
What you see is actually a warning not an error, it will allow you to continue on but you may get odd results when you leave sculpt mode.

If you have modifiers that generate part of your model, like a mirror or skin modifier, you want to apply these modifiers, this will turn the generated data into real geometry that you can sculpt with.

For other modifiers like a subsurf, you will still get this warning, but it is better to remove the modifier, sculpt and then replace it if desired.

To apply modifiers, you should start at the top and click apply to remove each one you want to keep the results from.